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Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle

Di Iorio, Francesca; Fachin, Stefano - Institut für Weltwirtschaft (IfW) - 2007

Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed...

Persistent link: https://www.econbiz.de/10005083385

A note on the estimation of long-run relationships in panel equations with cross-section linkages

Di Iorio, Francesca; Fachin, Stefano - Institut für Weltwirtschaft (IfW) - 2012

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or...

Persistent link: https://www.econbiz.de/10009416984

Estimating standard errors for the Parks model: Can jackknifing help?

Reed, W. Robert; Webb, Rachel S. - Institut für Weltwirtschaft (IfW) - 2010

Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...

Persistent link: https://www.econbiz.de/10009642594

Friendship between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations

Finger, Karl; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014

This paper investigates the driving forces behind banks’ link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...

Persistent link: https://www.econbiz.de/10010905563

Explaining Labour Market Inactivity in Migrant-Sending Families: Housework, Hammock, or Higher Education

Görlich, Dennis; Mahmoud, Toman Omar; Trebesch, Christoph - Institut für Weltwirtschaft (IfW) - 2007

This article presents a new perspective on the impact of migration and remittances on labour market participation and time allocation in migrant-sending families. Departing from the common finding that labour market participation is lower in migrant households, we investigate whether the reasons...

Persistent link: https://www.econbiz.de/10005755127

A micro-econometric approach to geographic market definition in local retail markets: Demand side considerations

Beckert, Walter - Institut für Weltwirtschaft (IfW) - 2010

This paper formalizes an empirically implementable framework for the definition of local antitrust markets in retail markets. This framework rests on a demand model that captures the trade-off between distance and pecuniary cost across alternative shopping destinations within local markets. The...

Persistent link: https://www.econbiz.de/10008494182

Current Account Imbalances and Income Inequality: Theory and Evidence

Al-Hussami, Fares; Remesal, Álvaro Martín - Institut für Weltwirtschaft (IfW) - 2012

In this paper we analyze theoretically and empirically the impact of an increase in income inequality on the current account balance. We develop a model with consumption externalities and heterogeneous agents which explains how an increase in income inequality can affect negatively or positively...

Persistent link: https://www.econbiz.de/10010886828

(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?

Babutsidze, Zakaria - Institut für Weltwirtschaft (IfW) - 2010

over on macro level and what is the role of agent heterogeneity in the process. We look at two kinds of asymmetries: (i … conclude that the first type of asymmetry can be attributed to the differences in adjustment bands and that heterogeneity … softens this effect. The second type of asymmetry is the result of pricing behavior, thus of agent heterogeneity itself. …

Persistent link: https://www.econbiz.de/10008597181

Modeling Maximum Entropy and Mean-Field Interaction in Macroeconomics

Di Guilmi, Corrado; Gallegati, Mauro; Landini, Simone - Institut für Weltwirtschaft (IfW) - 2008

agents in conditions of uncertainty. Heterogeneity entails asymmetric reactions to shocks and, through interaction mechanisms …

Persistent link: https://www.econbiz.de/10005097468

Exporting and the Environment: A New Look with Micro-Data

Girma, Sourafel; Hanley, Aoife; Tintelnot, Felix - Institut für Weltwirtschaft (IfW) - 2008

Previous aggregate studies ignore additional environmental improvements caused by intra industry reallocations to high productivity/ low pollution firms. They also fail to consider potential differences in abatement efforts by exporting status. Our estimation based on UK firm level data from...

Persistent link: https://www.econbiz.de/10005700566